End Game

Variable
Number of firms

Beta

D/E Ratio

Effective Tax Rate

Unlevered Beta

Cash/Firm Value

Unlevered Beta corrected for cash

HiLo Risk

Standard deviation (equity)

Standard deviation (operating income)

To estimate pure play betas by business, to use in estimating a
bottom up beta for a project or a company.

Explanation
Number of firms in the indusry grouping.
Simple average across firms of each firm's beta, taken as a weighted
average of 2-year and 5-year weekly return regression betas, with 2-year
betas weighted 2/3rds. If the company has only a 2-year beta, it is used.

Total debt, including lease debt/ Market Value of equity. I aggregate each
number across the firms and then compute the aggregate debt to equity
ratio.

Effective tax rate in the most recxent 12 months.

Beta/ (1+ (1-tax rate) (D/E)). You can use either a marginal or effective tax
rate as your option.

Cash & Marketable Securities/ (Market Value of Equity + Total Debt,

including lease debt. Aggregated across companies first ans then
computed.

Unlevered Beta/ (1- Cash/Firm Vaue). Cash has a beta of zero. With this
calculation, I remove its effect to get a pure play beta.

Simple average of (High Price for year - Low Price/ (High Price + Low
Price). It is a non-parametric and simple measure of price risk.
Simple average across firms of each firm's standard deviation in stock
prices in the prior 2 years, using weekly returns.

Simple average across firms of each firm's coefficient of variation in

annual operating income over prior 10 years. (Coefficient of variation is
standard deviation divided by average operating income over the period)
Why?
Law of large numbers?
I average the 2-year and 5-year betas, to remove
some noise at the company level, and then take the
simple average to remove even more. I don't use
weighted averages, since that will make each sector's
beta converge on its largest company or companies.

My definition of debt for all things cost of capital. I

have always treated lease commitments as debt.
Now the accountants will as well.

I need a tax rate.

Interest saves you taxes at the margin. You should
generally use a marginal tax rate, but if you have a
multinational facing different marginal tax rates in
different regions, you may use effective instead,

Cash is usualy invested in liquid, close to riskless

investments and has a beta close to zero.

The standard unlevered beta is an unlevered beta for

the company. If the company holds a large amount
of cash, you need to remove it from the calculation
to get a beta for just the business.

If you don't like making distributional assumptions

and want a simple range-based measure of risk…
This is the total risk. Beta measures only the portion
of this standard deviation that is market-related.

If you don't like price-based measures of risk,

preferring something more intrinsic, this may be
your preferred measure of risk. (Since operating
income levels vary widely across firms, I used the
coefficient of variation.)
000000Global Companies 000000Betas by Sector 000000January 2016

Date updated: 5-Jan-21 YouTube Video explaining estimation choices and process. Notes
Created by: Aswath Damodaran, adamodar@stern.nyu.edu if you are looking for a pure-play beta, i.e., a beta for a business,
What is this data? Beta, Unlevered beta and other risk measures US companies unlevered beta corrected for cash is your best bet. Since even sec
betas can move over time, I have also reported the average of the
Home Page: http://www.damodaran.com sector beta across time in the last column. This number, for obvio
Data website: http://www.stern.nyu.edu/~adamodar/New_Home_Page/data.html reasons, is less likely to be volatile over time.
Companies in each industry: http://www.stern.nyu.edu/~adamodar/pc/datasets/indname.xls
Variable definitions: http://www.stern.nyu.edu/~adamodar/New_Home_Page/datafile/variable.htm
Do you want to use marginal or effective tax rates in unlevering betas? Marginal
If marginal tax rate, enter the marginal tax rate to use 27.00%

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Advertising 61 1.08 77.50% 3.35% 0.69 11.23% 0.77 0.7654
Aerospace/Defense 72 1.07 33.05% 7.37% 0.86 5.93% 0.91 0.5940
Air Transport 17 1.61 161.36% 6.00% 0.74 19.71% 0.91 0.6543
Apparel 51 1.10 39.39% 4.75% 0.85 9.39% 0.94 0.6549
Auto & Truck 19 1.28 38.67% 7.86% 1.00 4.72% 1.05 0.7160
Auto Parts 52 1.20 24.37% 7.35% 1.02 6.59% 1.09 0.6981
Bank (Money Center) 7 0.83 216.19% 16.16% 0.32 46.36% 0.59 0.3411
Banks (Regional) 598 0.64 61.25% 16.42% 0.45 25.74% 0.60 0.3305
Beverage (Alcoholic) 23 0.78 23.41% 5.33% 0.66 1.68% 0.67 0.6156
Beverage (Soft) 41 0.79 21.60% 3.32% 0.68 3.39% 0.71 0.7605
Broadcasting 29 1.13 121.72% 9.26% 0.60 8.50% 0.65 0.6275
Brokerage & Investment Banking 39 1.13 218.88% 9.75% 0.44 24.48% 0.57 0.6202
Building Materials 42 1.09 26.29% 15.15% 0.91 5.89% 0.97 0.5248
Business & Consumer Services 169 0.93 24.72% 7.43% 0.79 5.41% 0.83 0.6474
Cable TV 13 0.94 51.96% 18.97% 0.68 2.41% 0.70 0.4219
Chemical (Basic) 48 0.99 55.12% 2.98% 0.71 7.00% 0.76 0.6892
Chemical (Diversified) 5 1.36 58.10% 1.25% 0.96 7.64% 1.03 0.5312
Chemical (Specialty) 97 0.93 25.35% 6.43% 0.78 4.44% 0.82 0.6130
Coal & Related Energy 29 0.83 94.63% 0.00% 0.49 12.92% 0.56 0.7276
Computer Services 116 1.12 39.75% 5.55% 0.87 7.89% 0.94 0.6799
Computers/Peripherals 52 1.18 9.36% 3.71% 1.11 2.72% 1.14 0.6474
Construction Supplies 46 1.02 34.78% 10.79% 0.81 6.64% 0.87 0.5214
Diversified 29 1.02 29.74% 6.52% 0.84 5.70% 0.89 0.6070
Drugs (Biotechnology) 547 0.89 15.50% 0.52% 0.80 6.50% 0.85 0.6269
Drugs (Pharmaceutical) 287 0.91 18.18% 1.88% 0.80 4.24% 0.84 0.6896
Education 38 1.15 24.33% 4.02% 0.97 8.97% 1.07 0.6972
Electrical Equipment 122 1.06 15.35% 4.44% 0.95 4.90% 1.00 0.7199
Electronics (Consumer & Office) 22 0.96 9.50% 1.05% 0.89 11.62% 1.01 0.6915
Electronics (General) 157 0.89 13.48% 6.11% 0.81 6.09% 0.86 0.6441
Engineering/Construction 61 1.06 28.24% 9.31% 0.88 8.35% 0.95 0.6438
Entertainment 118 0.88 15.20% 0.53% 0.79 5.26% 0.84 0.7648
Environmental & Waste Services 86 0.95 25.20% 2.69% 0.81 1.92% 0.82 0.7096
Farming/Agriculture 32 0.87 45.05% 6.45% 0.66 4.07% 0.68 0.6185
Financial Svcs. (Non-bank & Insuranc 235 0.80 895.89% 12.91% 0.11 3.11% 0.11 0.4639
Food Processing 101 0.64 33.01% 8.56% 0.51 3.64% 0.53 0.5418
Food Wholesalers 18 1.03 56.02% 0.52% 0.73 8.97% 0.80 0.6916
Furn/Home Furnishings 40 0.88 34.06% 4.79% 0.71 9.25% 0.78 0.6664
000000Global Companies 000000Betas by Sector 000000January 2016

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Green & Renewable Energy 25 0.98 64.06% 1.74% 0.67 1.44% 0.68 0.7946
Healthcare Products 265 0.83 10.69% 2.57% 0.77 3.45% 0.80 0.6221
Healthcare Support Services 129 0.85 31.70% 5.65% 0.69 6.49% 0.74 0.6310
Heathcare Information and Technol 139 0.79 12.10% 4.16% 0.73 3.56% 0.75 0.6296
Homebuilding 30 1.46 32.73% 15.91% 1.18 11.39% 1.33 0.5903
Hospitals/Healthcare Facilities 32 1.28 99.40% 8.16% 0.74 7.94% 0.80 0.6525
Hotel/Gaming 66 1.56 57.24% 2.02% 1.10 7.25% 1.19 0.6532
Household Products 140 0.73 14.85% 5.06% 0.66 3.68% 0.68 0.7334
Information Services 77 1.01 9.37% 9.75% 0.95 3.01% 0.97 0.5868
Insurance (General) 21 0.68 40.81% 12.61% 0.53 5.92% 0.56 0.4707
Insurance (Life) 26 0.98 119.95% 15.12% 0.52 19.22% 0.64 0.4603
Insurance (Prop/Cas.) 55 0.64 25.06% 10.86% 0.54 5.96% 0.58 0.3843
Investments & Asset Management 348 0.93 45.22% 4.64% 0.70 11.00% 0.78 0.3589
Machinery 125 1.05 19.65% 8.81% 0.92 4.30% 0.96 0.5858
Metals & Mining 86 0.90 23.86% 1.70% 0.77 6.04% 0.82 0.7868
Office Equipment & Services 22 1.00 47.82% 13.20% 0.74 11.13% 0.83 0.5707
Oil/Gas (Integrated) 3 1.26 44.09% 8.54% 0.95 3.46% 0.98 0.5036
Oil/Gas (Production and Exploration) 278 1.18 72.08% 0.68% 0.78 4.36% 0.81 0.7659
Oil/Gas Distribution 57 1.16 129.69% 4.55% 0.59 1.37% 0.60 0.6544
Oilfield Svcs/Equip. 135 1.21 77.44% 1.19% 0.77 7.61% 0.83 0.7390
Packaging & Container 26 0.92 55.11% 15.67% 0.66 3.68% 0.68 0.4567
Paper/Forest Products 15 1.14 37.52% 5.94% 0.89 6.81% 0.96 0.6176
Power 55 0.67 78.08% 9.91% 0.42 1.47% 0.43 0.3667
Precious Metals 93 0.76 12.69% 1.08% 0.69 7.93% 0.75 0.7766
Publishing & Newspapers 29 1.41 54.00% 5.76% 1.01 8.67% 1.10 0.5486
R.E.I.T. 238 1.21 76.73% 1.26% 0.77 2.69% 0.79 0.4901
Real Estate (Development) 25 0.85 94.70% 2.84% 0.50 11.06% 0.56 0.6852
Real Estate (General/Diversified) 11 0.78 29.22% 7.34% 0.64 15.20% 0.76 0.5515
Real Estate (Operations & Services) 61 0.92 40.79% 4.38% 0.71 6.12% 0.75 0.6408
Recreation 69 0.87 24.50% 5.78% 0.74 5.05% 0.77 0.7368
Reinsurance 2 1.16 38.52% 12.57% 0.91 19.61% 1.13 0.4135
Restaurant/Dining 79 1.34 33.70% 3.19% 1.08 2.85% 1.11 0.6957
Retail (Automotive) 30 1.30 49.71% 11.65% 0.95 3.77% 0.99 0.6174
Retail (Building Supply) 15 1.54 18.08% 13.48% 1.36 5.00% 1.43 0.7107
Retail (Distributors) 85 0.97 45.74% 12.21% 0.73 3.52% 0.75 0.6391
Retail (General) 17 0.90 21.34% 12.48% 0.78 4.66% 0.81 0.5433
Retail (Grocery and Food) 14 0.24 94.34% 13.52% 0.14 5.82% 0.15 0.4890
Retail (Online) 75 1.16 7.15% 2.93% 1.11 2.75% 1.14 0.7481
Retail (Special Lines) 85 1.28 48.26% 8.06% 0.95 8.57% 1.03 0.6683
Rubber& Tires 3 1.09 174.90% 5.30% 0.48 12.32% 0.54 0.6340
Semiconductor 70 1.00 9.71% 6.41% 0.94 2.71% 0.96 0.5537
Semiconductor Equip 40 1.07 8.03% 7.38% 1.01 5.40% 1.07 0.5698
Shipbuilding & Marine 11 1.04 62.15% 2.30% 0.71 4.31% 0.74 0.5540
Shoe 11 0.98 6.87% 6.63% 0.94 4.30% 0.98 0.5757
Software (Entertainment) 101 0.96 2.62% 0.58% 0.94 1.96% 0.96 0.7489
Software (Internet) 36 0.77 8.83% 3.30% 0.73 3.03% 0.75 0.6398
000000Global Companies 000000Betas by Sector 000000January 2016

Effective
Industry Name Number of firms Beta D/E Ratio Tax rate Unlevered beta Cash/Firm value Unlevered beta corrected for cash HiLo Risk
Software (System & Application) 388 0.91 6.55% 2.77% 0.87 2.68% 0.89 0.6702
Steel 32 0.95 50.24% 6.01% 0.70 11.19% 0.78 0.5662
Telecom (Wireless) 16 0.53 54.57% 3.57% 0.38 3.34% 0.39 0.6234
Telecom. Equipment 96 0.87 14.80% 3.85% 0.78 5.72% 0.83 0.6389
Telecom. Services 58 0.66 83.14% 3.93% 0.41 2.77% 0.42 0.6187
Tobacco 15 0.72 30.31% 8.69% 0.59 3.54% 0.61 0.6541
Transportation 21 0.91 31.69% 10.56% 0.74 6.36% 0.79 0.5864
Transportation (Railroads) 6 0.84 22.54% 15.58% 0.73 2.12% 0.74 0.5022
Trucking 35 1.11 33.76% 9.70% 0.89 5.71% 0.94 0.6120
Utility (General) 16 0.74 74.69% 9.74% 0.48 1.41% 0.48 0.2816
Utility (Water) 17 0.73 40.46% 10.79% 0.57 1.10% 0.57 0.4501
Total Market 7582 0.94 48.33% 5.76% 0.70 6.97% 0.75 0.6017
Total Market (without financials) 6253 0.98 25.10% 4.39% 0.83 4.06% 0.86 0.6495
 000000Global Companies 000000Betas by Sector 000000January 2016

Notes
if you are looking for a pure-play beta, i.e., a beta for a business, the
unlevered beta corrected for cash is your best bet. Since even sector
betas can move over time, I have also reported the average of the this
sector beta across time in the last column. This number, for obvious
reasons, is less likely to be volatile over time.

Unlevered beta corrected for cash - Over time

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2016 2017 2018 2019 2020 (2016-21)
57.74% 14.31% 0.74 0.91 0.78 0.87 0.93 0.83
34.89% 16.42% 1.20 0.94 0.99 1.09 1.08 1.03
46.15% 48.05% 0.85 0.76 0.67 0.63 0.84 0.78
47.84% 10.37% 0.88 0.71 0.85 0.76 0.83 0.83
45.24% 28.30% 0.47 0.38 0.59 0.34 0.53 0.56
43.16% 29.29% 1.08 0.94 0.92 0.97 0.95 0.99
21.59% NA 0.47 0.41 0.32 0.43 0.56 0.46
19.48% NA 0.36 0.36 0.39 0.40 0.43 0.42
37.01% 43.00% 0.82 0.71 1.12 1.05 0.92 0.88
49.70% 7.16% 0.99 0.78 0.63 1.04 1.09 0.87
45.56% 31.02% 0.75 0.70 0.65 0.51 0.73 0.67
35.90% 50.94% 0.46 0.42 0.54 0.46 0.57 0.50
33.99% 65.44% 0.98 0.87 0.99 0.91 1.02 0.96
45.65% 18.32% 0.95 0.85 1.01 1.00 0.89 0.92
32.02% 31.06% 0.89 0.82 0.67 0.76 0.78 0.77
48.06% 33.69% 0.81 0.68 0.96 1.12 0.99 0.89
36.16% 29.88% 1.27 1.22 1.79 1.49 1.21 1.34
38.54% 12.48% 1.01 0.98 0.95 0.99 0.96 0.95
42.27% 166.17% 0.39 0.61 1.04 0.97 1.05 0.77
45.89% 11.40% 1.00 0.83 0.94 1.05 0.95 0.95
42.87% 16.74% 1.22 0.94 0.93 1.50 1.64 1.23
33.39% 25.62% 1.18 1.02 0.95 1.15 1.10 1.05
29.94% 43.94% 0.74 0.63 1.01 1.14 1.25 0.94
50.10% 37.69% 1.19 1.25 1.36 1.43 1.39 1.24
55.45% 7.70% 0.94 0.93 1.13 1.38 1.29 1.08
55.73% 37.21% 0.86 1.05 0.96 1.11 1.36 1.07
55.12% 14.73% 1.03 1.04 1.02 1.18 1.31 1.10
54.91% 324.99% 1.16 0.97 1.08 1.22 1.25 1.12
43.87% 19.57% 0.98 0.83 0.91 0.96 1.07 0.93
42.04% 12.45% 1.07 1.01 1.13 0.81 1.33 1.05
68.06% 27.21% 0.98 0.97 0.96 1.21 1.20 1.03
50.43% 12.03% 0.82 0.63 0.70 0.96 1.05 0.83
45.30% 17.71% 0.77 0.62 0.56 0.50 0.63 0.63
27.74% 39.43% 0.06 0.07 0.07 0.08 0.10 0.08
32.56% 19.79% 0.74 0.63 0.56 0.61 0.70 0.63
58.03% 21.83% 0.61 0.93 1.41 1.23 0.66 0.94
40.52% 24.32% 1.00 0.69 0.67 0.67 0.82 0.77
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2016 2017 2018 2019 2020 (2016-21)
56.04% 96.52% 0.84 0.47 0.72 0.80 0.59 0.68
46.19% 17.83% 0.92 0.92 0.89 1.04 0.98 0.92
44.49% 23.65% 0.89 0.82 0.82 1.03 0.95 0.87
42.45% 33.87% 0.99 0.83 0.88 1.18 1.15 0.96
36.56% 71.78% 0.81 0.77 0.89 0.72 0.66 0.86
49.21% 19.15% 0.44 0.45 0.51 0.55 0.63 0.56
43.69% 28.72% 0.68 0.67 0.74 0.71 0.91 0.82
54.66% 4.06% 0.91 0.69 0.88 1.00 0.94 0.85
42.37% 33.30% 0.92 0.87 0.82 1.05 1.03 0.94
30.12% 33.64% 0.82 0.71 0.63 0.67 0.59 0.66
30.68% 13.19% 0.91 0.80 0.81 0.70 0.73 0.77
22.93% 28.87% 0.75 0.70 0.73 0.65 0.59 0.67
28.85% 13.93% 0.81 0.68 0.87 0.87 0.86 0.81
34.28% 19.96% 1.23 0.93 1.04 1.01 1.10 1.04
67.84% 43.63% 0.87 0.89 0.96 1.11 1.09 0.96
31.11% 10.27% 1.29 1.09 1.10 1.33 1.24 1.15
26.39% 73.81% 1.38 0.95 1.25 1.06 1.12 1.12
56.28% 154.38% 0.95 0.99 1.00 1.07 1.08 0.98
40.78% 42.75% 0.65 0.69 0.72 0.62 0.62 0.65
50.27% 40.23% 1.41 1.11 1.06 1.07 1.22 1.12
29.22% 14.05% 0.91 0.60 0.55 0.74 0.68 0.69
35.67% 23.13% 0.89 0.83 0.98 1.17 1.25 1.01
19.86% 8.37% 0.50 0.33 0.32 0.35 0.38 0.38
67.76% 75.51% 1.03 1.10 0.95 1.15 1.33 1.05
37.47% 9.42% 1.07 0.96 0.83 0.90 0.76 0.94
32.40% 28.84% 0.41 0.41 0.42 0.41 0.43 0.48
60.70% 103.87% 0.93 0.47 0.61 0.87 0.89 0.72
20.99% 144.66% 1.03 1.09 0.73 1.33 1.50 1.07
34.72% 31.94% 0.99 0.62 0.80 0.95 0.68 0.80
56.40% 13.69% 0.75 0.76 0.73 0.81 0.75 0.76
25.23% 30.07% 0.89 0.65 0.47 0.88 0.77 0.80
53.63% 9.97% 0.64 0.61 0.70 0.65 0.75 0.74
42.82% 20.95% 0.76 0.63 0.65 0.76 0.87 0.77
40.60% 25.54% 1.31 1.12 0.76 0.97 1.15 1.12
41.97% 27.75% 0.83 0.77 0.87 0.99 0.89 0.85
38.91% 5.11% 0.92 0.82 0.87 0.75 0.95 0.86
37.72% 24.45% 0.77 0.46 0.44 0.28 0.35 0.41
52.87% 53.23% 1.53 1.17 1.12 1.34 1.16 1.24
49.01% 10.73% 0.81 0.76 0.82 0.80 0.69 0.82
43.83% 28.86% 1.18 0.89 0.64 0.24 0.45 0.66
37.26% 31.50% 1.32 1.11 1.16 1.26 1.24 1.17
35.91% 50.04% 1.22 1.10 0.99 1.39 1.25 1.17
29.83% 34.03% 0.84 0.85 1.01 0.78 1.57 0.97
31.50% 21.45% 0.81 0.83 0.86 0.74 0.83 0.84
62.61% 58.98% 1.46 0.96 0.91 1.27 1.29 1.14
32.73% 40.41% 1.33 1.12 1.20 1.31 1.50 1.20
000000Global Companies 000000Betas by Sector 000000January 2016

Standard deviation in
operating income Average
Standard deviation of equity (last 10 years) 2016 2017 2018 2019 2020 (2016-21)
47.97% 17.34% 1.25 0.99 1.02 1.16 1.15 1.08
39.32% 46.61% 0.86 1.19 1.53 1.29 1.29 1.16
39.78% 57.80% 0.65 0.58 0.71 0.71 0.60 0.61
43.11% 17.00% 1.17 0.86 0.96 1.02 0.84 0.95
43.53% 27.98% 0.57 0.68 0.72 0.74 0.67 0.63
24.49% 6.19% 1.66 1.13 1.15 1.13 1.43 1.18
28.68% 22.43% 1.19 0.83 0.80 0.90 0.96 0.91
16.83% 15.14% 0.93 0.66 0.87 2.08 1.89 1.19
38.78% 126.49% 1.03 0.76 0.81 0.71 1.04 0.88
18.44% 8.77% 0.36 0.25 0.20 0.17 0.19 0.28
35.96% 14.78% 0.33 0.47 0.27 0.32 0.57 0.42
41.21% 13.11% 0.73 0.65 0.72 0.80 0.83 0.75
44.77% 13.19% 0.9 0.85 0.90 1.00 1.01 0.92
Effective
Marginal